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Option pricing under time varying correlation with conditional dependence : a copula based approach to recover the index skew from the constituent dynamics

Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - 2010

Persistent link: https://www.econbiz.de/10009240321

A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions

Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; … - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 669-708

Persistent link: https://www.econbiz.de/10009298478

Modeling investment guarantees in Japan : a risk-neutral GARCH approach

Ng, Andrew Cheuk-yin; Li, Johnny Siu-hang; Chan, Wai-Sum - In: International review of financial analysis 20 (2011) 1, pp. 20-26

Persistent link: https://www.econbiz.de/10009295928

GARCH option pricing models with Meixner innovations

Fengler, Matthias; Melnikov, Alexander - 2017

Persistent link: https://www.econbiz.de/10011718747

Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model

Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/97, pp. 1-19

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We derive the asymptotic hedging error for options under a...

Persistent link: https://www.econbiz.de/10012484861

GARCH option pricing models with Meixner innovations

Fengler, Matthias; Melnikov, Alexander - In: Review of derivatives research 21 (2018) 3, pp. 277-305

Persistent link: https://www.econbiz.de/10012055743